<PAGE> 1
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 1997
------------------------------------------------
or
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
-------------------- -------------------------
Commission File number: 0-22260
-----------------------------------------------------
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
<TABLE>
<S> <C>
Delaware 52-1823554
- ---------------------------------------------- ------------------------------------------
(State of Organization) (IRS Employer Identification Number)
Court Towers Building,
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204
- ------------------------------------------ ----------------------------------------------
(Address of principal executive offices) (Zip Code)
(410) 296-3301
- ------------------------------------------------------------
(Registrant's telephone number, including area code)
</TABLE>
<PAGE> 2
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months, and (2) has been subject to such filing
requirements for the past 90 days.
Yes [ X ] No [ ]
Total number of Pages: 16
-----
2
<PAGE> 3
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
The following unaudited financial statements of Campbell Strategic Allocation
Fund, L.P. are included in Item 1:
Statements of Financial Condition as of June 30, 1997 and
December 31, 1996
Statements of Operations for the Three Months and
Six Months Ended June 30, 1997 and 1996
Statements of Cash Flows for the Six Months Ended
June 30, 1997 and 1996
Statements of Changes in Partners' Capital for the Six Months Ended
June 30, 1997 and 1996
3
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
June 30, 1997 (Unaudited) and December 31, 1996 (Audited)
<TABLE>
<CAPTION>
June 30, December 31,
1997 1996
------------------ ------------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 5,525,641 $ 15,907,914
United States government securities 19,960,538 10,583,946
Unrealized gain on open futures contracts 2,120,129 304,907
---------------- --------------
Deposits with broker 27,606,308 26,796,767
Cash and cash equivalents 45,577,319 46,977,151
United States government securities 81,296,635 35,925,168
Unrealized gain (loss) on open forward contracts (3,227,381) 1,667,873
---------------- --------------
Total assets $151,252,881 $111,366,959
================ ==============
LIABILITIES
Accounts payable $ 90,679 $ 117,865
Brokerage fee 957,773 662,993
Performance fee -0- 2,082,519
Offering costs payable 89,197 56,627
Redemptions payable 386,282 577,116
Subscription deposits 506,450 133,036
---------------- --------------
Total liabilities 2,030,381 3,630,156
---------------- --------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 1,219.105 units
outstanding at June 30, 1997 and 1,542,179 1,123,514
885.938 at December 31,1996
Limited Partners - 116,742.415 and 84,069.060 units
outstanding at June 30, 1997 and
December 31, 1996 147,680,321 106,613,289
---------------- --------------
Total partners' capital
(Net Asset Value) 149,222,500 107,736,803
---------------- --------------
$151,252,881 $111,366,959
================ ==============
</TABLE>
See accompanying notes.
4
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months and Six Months
Ended June 30, 1997 and 1996
(Unaudited)
<TABLE>
<CAPTION>
Three Months Ended Six Months Ended
June 30, June 30,
1997 1996 1997 1996
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Trading gains (losses)
Realized $ (3,515,401) $ 4,261,808 $ 5,189,644 $ 6,189,927
Change in unrealized (657,862) (2,596,607) (3,080,032) (2,023,776)
------------- ------------ ------------ ------------
Gain from trading (4,173,263) 1,665,201 2,109,612 4,166,151
Interest income 1,880,616 695,754 3,287,765 1,276,198
------------- ------------ ------------ ------------
Total income (2,292,647) 2,360,955 5,397,377 5,442,349
------------- ------------ ------------ ------------
EXPENSES
Brokerage fee 2,719,362 1,110,758 5,137,465 2,062,286
Performance fee 0 0 816,384 0
Operating expenses 100,578 59,509 202,413 106,446
------------- ------------ ------------ ------------
Total expenses 2,819,940 1,170,267 6,156,262 2,168,732
------------- ------------ ------------ ------------
NET INCOME $ (5,112,587) $ 1,190,688 $ (758,885) $ 3,273,617
============= ============ ============ ============
NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) (47.57) $ 22.36 $ (7.71) $ 65.22
============= ============ ============ ============
INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ (54.02) $ 21.22 $ (3.15) $ 61.73
============= ============ ============ ============
</TABLE>
See accompanying notes.
5
<PAGE> 6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Six Months Ended June 30, 1997 and 1996
(Unaudited)
<TABLE>
<CAPTION>
1997 1996
----- ------
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ (758,885) $ 3,273,617
Adjustments to reconcile net income to net cash from
operating activities
Net change in unrealized 3,080,032 2,023,776
(Increase) decrease in accounts payable and accrued expenses (1,814,925) 95,453
------------- --------------
Net cash from operating activities 506,222 5,392,846
------------- --------------
CASH FLOWS FROM (FOR) INVESTING ACTIVITIES
Net (purchases) maturities of investments in United States government
and agency securities (54,748,059) (38,252,115)
------------- --------------
Net cash from (for) investing activities (54,748,059) (38,252,115)
------------- --------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 45,338,293 17,088,469
Increase in subscription deposits 373,414 203,873
Redemption of units (2,603,329) (3,410,463)
Decrease in redemptions payable (190,834) (648,426)
Offering costs charged (490,382) (271,866)
Increase in offering costs payable 32,570 10,504
------------- --------------
Net cash from financing activities 42,459,732 12,972,091
------------- --------------
Net increase (decrease) in cash and cash equivalents (11,782,105) (19,887,178)
CASH AND CASH EQUIVALENTS
Beginning of period 62,885,065 33,729,444
------------- --------------
End of period $51,102,960 $13,842,266
============= ==============
</TABLE>
See accompanying notes.
6
<PAGE> 7
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 1997 and 1996
(Unaudited)
<TABLE>
<CAPTION>
Partners' Capital
----------------------------------------------------------------------------------
General Limited Total
---------------------- ------------------------ -------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS ENDED
JUNE 30, 1997
Balances at
December 31, 1996 885.938 $1,123,514 84,069.060 $106,613,289 84,954.998 $107,736,803
Additions 333.167 430,000 34,718.090 44,908,293 35,051.257 45,338,293
Net loss for the six months
ended June 30, 1997 (6,367) (752,518) (758,885)
Redemptions 0.000 0 (2,044.735) (2,603,329) (2,044.735) (2,603,329)
Offering costs (4,968) (485,414) (490,382)
--------- ---------- ------------- ------------ ----------- ------------
Balances at
June 30, 1997 1,219.105 $1,542,179 1,116,742.415 $147,680,321 117,961.520 $149,222,500
========= ========== ============= ============ =========== ============
SIX MONTHS ENDED
JUNE 30, 1996
Balances at
December 31, 1995 472.222 $ 459,018 45,897.894 $ 44,614,516 46,370.116 $ 45,073,534
Additions 143.985 150,000 16,559.545 16,938,469 16,703.530 17,088,469
Net income for the six months
ended June 30, 1996 30,695 3,242,922 3,273,617
Redemptions 0.000 0 (3,337.843) (3,410,463) (3,337.843) (3,410,463)
Offering costs (2,697) (269,169) (271,866)
--------- ---------- ------------- ------------ ----------- ------------
Balances at
June 30, 1996 616.207 $ 637,016 59,119.596 $ 61,116,275 59,735.803 $ 61,753,291
========= ========== ============= ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per Unit
----------------------------------------------------------------------------------
June 30, December 31, June 30, December 31,
1997 1996 1996 1995
------------ ------------- ------------ ---------------
<S> <C> <C> <C>
$ 1,265.01 $ 1,268.16 $ 1,033.77 $ 972.04
============ ============= ============= ================
</TABLE>
See accompanying notes.
7
<PAGE> 8
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Partnership
Campbell Strategic Allocation Fund, L.P. (the Partnership) is
a Delaware limited partnership which operates as a commodity
investment pool. The Partnership was formed on May 11, 1993
and commenced trading on April 18, 1994.
B. Regulation
As a registrant with the Securities and Exchange Commission,
the Partnership is subject to the regulatory requirements
under the Securities Acts of 1933 and 1934. As a commodity
investment pool, the Partnership is subject to the
regulations of the Commodity Futures Trading Commission, an
agency of the United States (U.S.) government which
regulates most aspects of the commodity futures industry,
rules of the National Futures Association, an industry
self-regulatory organization, and the requirements of the
various commodity exchanges where the Partnership executes
transactions. Additionally, the Partnership is subject to
the requirements of Futures Commission Merchants (brokers)
and interbank market makers through which the Partnership
trades.
C. Method of Reporting
The Partnership's financial statements are presented in
accordance with generally accepted accounting principles,
which require the use of certain estimates made by the
Partnership's management. Gains or losses are realized when
contracts are liquidated. Unrealized gain or losses on open
contracts (the difference between contract purchase price
and market price) are reported in the statement of financial
condition as a net gain or loss, as there exists a right of
offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39 -
"Offsetting of Amounts Related to Certain Contracts." Any
change in net unrealized gain or loss from the preceding
period is reported in the statement of operations. United
States government and agency securities are stated at market
value.
D. Cash and Cash Equivalents
Cash and cash equivalents includes cash, other demand
deposits and short-term time deposits held at the financial
institutions.
E. Income Taxes
The Partnership prepares calendar year U.S. and state
information tax returns and reports to the partners their
allocable shares of the Partnership's income, expenses and
trading gains or losses.
8
<PAGE> 9
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
F. Offering Costs
The General Partner has incurred total costs in connection
with the initial and continuous offering of Units of the
Partnership (offering costs) of $3,819,312 through June 30,
1997, $1,458,925 of which has already been reimbursed to the
General Partner by the Partnership. At June 30, 1997, the
Partnership reflects a liability in the statement of
financial condition for offering costs payable to the
General Partner of $89,197. The Partnership's liability for
offering costs is limited to the maximum of total offering
costs incurred by the General Partner or 2.5% of the
aggregate subscriptions accepted during the initial and
continuous offerings; this maximum is further limited by a
pay-out schedule over 30 months. The Partnership is only
liable for payment of offering costs on a monthly basis as
calculated based on the limitations stated above. If the
Partnership terminates prior to completion of payment of the
calculated amounts to the General Partner, the General
Partner will not be entitled to any additional payments and
the Partnership will have no further obligation to the
General Partner.
The amount of monthly reimbursement due to the General
Partner is charged directly to Partners' capital.
G. Foreign Currency Transactions
The Partnership's functional currency is the U.S. dollar;
however, it transacts business in currencies other than the
U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into
U.S. dollars at the rates in effect at the date of the
statement of financial condition. Income and expense items
denominated in currencies other than the U.S. dollar are
translated into U.S. dollars at the rates in effect during
the period. Gains and losses resulting from the translation
to U.S. dollars are reported in income currently.
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR
The General Partner of the Partnership is Campbell & Company,
Inc., which conducts and manages the business of the
Partnership. The General Partner is also the commodity trading
advisor of the Partnership. The Amended Agreement of Limited
Partnership provides that the General Partner may make
withdrawals of its Units, provided that such withdrawals do not
reduce the General Partner's aggregate percentage interest in
the Partnership to less than 1% of the net aggregate
contributions.
9
<PAGE> 10
The General Partner is required by the Amended Agreement of
Limited Partnership to maintain a net worth equal to at least
5% of the capital contributed by all the limited partnerships
for which it acts as general partner, including the Partnership.
The minimum net worth shall in no case be less than $50,000 nor
shall net worth in excess of $1,000,000 be required.
10
<PAGE> 11
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
The Partnership pays a monthly brokerage fee equal to 1/12 of 8%
(8% annualized) of month-end Net Assets. The General Partner
receives 7/8 of this fee, a portion (4/8 of the total brokerage
fee) of which is used to compensate selling agents for ongoing
services rendered and a portion (3/8 of the total brokerage
fee) of which is retained by the General Partner for trading and
management services rendered. The remaining 1/8 of the
brokerage fee is paid directly to the broker. During the six
months ended June 30, 1997 and 1996, the amounts paid directly
to the broker amounted to $642,183 and $257,786 respectively.
The General Partner is also paid a quarterly performance fee of
20% of the Partnership's aggregate cumulative appreciation in
the Net Assets, exclusive of appreciation attributable to
interest income and as adjusted for subscriptions and
redemptions.
Note 3. DEPOSITS WITH BROKER
The Partnership deposits funds with a broker subject to
Commodity Futures Trading Commission regulations and various
exchange and broker requirements. Margin requirements are
satisfied by the deposit of U.S. Treasury bills and cash with
such broker. The Partnership earns interest income on its
assets deposited with the broker.
Note 4. OPERATING EXPENSES
Operating expenses of the Partnership are limited by the Amended
Agreement of Limited Partnership to 0.5% per year of the average
month-end Net Asset Value of the Partnership. Actual operating
expenses were less than 0.5% (annualized) for the six months
ended June 30, 1997 and 1996.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Partnership are made by subscription
agreement, subject to acceptance by the General Partner. As of
June 30, 1997 and December 31, 1996 amounts received by the
Partnership by prospective limited partners who have not yet
been admitted to the Partnership by the General Partner amount
to $506,450 and $133,036, respectively.
The Partnership is not required to make distributions, but may
do so at the sole discretion of the General Partner. A Limited
Partner may request and receive redemption of Units as of any
month-end, subject to restrictions in the Amended Agreement of
Limited Partnership (including redemption fees which apply to
redemptions made in the first 12 months)..
11
<PAGE> 12
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS
The Partnership engages in the speculative trading of U.S. and
foreign futures contracts and forward contracts (collectively,
"derivatives"). These derivatives include both financial and
non-financial contracts held as part of a diversified trading
program. The Partnership is exposed to both market risk, the
risk arising from changes in the market value of the contracts,
and credit risk, the risk of failure by another party to perform
according to the terms of a contract.
Purchase and sale of futures contracts requires margin deposits
with the broker. The Commodity Exchange Act requires a broker
to segregate all customer transactions and assets from such
broker's proprietary activities. A customer's cash and other
property (for example, U.S. Treasury bills) deposited with a
broker are considered commingled with all other customer funds
subject to the broker's segregation requirements. In the event
of a broker's insolvency, recovery may be limited to a pro rata
share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other
property deposited.
The amount of required margin and good faith deposits with
brokers and interbank market makers usually range from 10% to
30% of Net Asset Value. The market value of securities held to
satisfy such requirements at June 30, 1997 and December 31, 1996
was $77,846,432 and $13,763,550, respectively, which equals 52%
and 13% of the Fund's Net Assets, respectively.
The Partnership trades forward contracts in unregulated
markets between principals and assumes the risk of loss from
counterparty nonperformance. Accordingly, the risks associated
with forward contracts are generally greater than those
associated with exchange traded contracts because of the greater
risk of counterparty default. Additionally, the trading of
forward contracts typically involves delayed cash settlement.
The Partnership has a substantial portion of its assets on
deposit with financial institutions. In the event of a
financial institution's insolvency, recovery of Partnership
assets on deposit may be limited to account insurance or other
protection afforded such deposits. In the normal course of
business, the Partnership requires collateral for repurchase
agreements.
For derivatives, risks arise from changes in the market value of
the contracts. Theoretically, the Partnership is exposed to a
market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
The fair value of derivatives represents unrealized gains and
losses on open futures and forward contracts. The average fair
value of derivatives during the three months ended June 30,
12
<PAGE> 13
1997 and 1996 was approximately $1,532,091 and $2,633,000,
respectively and
13
<PAGE> 14
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
the related fair values as of June 30, 1997 and December 31,
1996 are approximately $(1,107,000) and $1,973,000,
respectively.
Net trading results from derivatives are reflected in the
statement of operations and equal gain from trading less the
portion of the brokerage fee paid directly to the broker. Such
trading results reflect the net gain arising from the
Partnership's speculative trading of futures and forward
contracts.
Open contracts generally mature within three months; the latest
maturity date for open contracts as of June 30, 1997 is
December 1997. However, the Partnership intends to close all
contracts prior to maturity. At June 30, 1997 and December
31, 1996, the notional amount of open contracts is as follows:
<TABLE>
<CAPTION>
June 30, 1997 December 31, 1996
---------------------------------- -------------------------------------
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
--------------- --------------- ---------------- -------------
<S> <C> <C> <C> <C>
Derivatives:
Futures contracts:
- Long-term interest rates $ 623,500,000 $ 0 $ 154,000,000 $118,100,000
- Short-term interest rates 829,000,000 230,900,000 134,200,000 0
- Currencies 0 0 11,400,000 21,200,000
- Stock indices 457,500,000 0 600,000 12,200,000
- Softs/Fibers 1,600,000 2,300,000 1,000,000 0
- Grains 1,800,000 3,000,000 0 0
- Meats 0 200,000 400,000 0
- Metals 36,900,000 59,700,000 16,500,000 9,300,000
- Energy 0 24,900,000 18,300,000 0
Forward contracts:
- Currencies 353,900,000 388,900,000 119,900,000 155,700,000
-------------- -------------- -------------- ------------
$2,304,200,000 $ 709,900,000 $ 456,300,000 $316,500,000
============== ============== ============== ============
</TABLE>
The above amounts do not represent the Partnership's risk of
loss due to market and credit risk, but rather represent the
Partnership's extent of involvement in derivatives at the date
of the statement of financial condition.
14
<PAGE> 15
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
The General Partner has established procedures to actively
monitor and minimize market and credit risk. The Limited
Partners bear the risk of loss only to the extent of the market
value of their respective investments and, in certain specific
circumstances, distributions and redemptions received.
Note 7. INTERIM FINANCIAL STATEMENTS
The Statement of Financial Condition as of June 30, 1997, the
Statements of Operations for the three months and six months
ended June 30, 1997 and 1996, the Statements of Cash Flows for
the six months ended June 30, 1997 and 1996 and the Statements
of Changes in Partners' Capital (Net Asset Value) for the six
months ended June 30, 1997 and 1996 are unaudited. In the
opinion of management, such financial statements reflect all
adjustments, which were of a normal and recurring nature,
necessary for a fair presentation of financial position as of
June 30, 1997 and the results of operations for the three
months and six months ended June 30, 1997 and 1996.
15
<PAGE> 16
Item 2. Management's Discussion and Analysis of Financial Condition
and Results of Operations
Introduction
The offering of the Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interests commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439. The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $140,198,214 have
been accepted during the continuing offering period as of July 1, 1997.
Redemptions over the same time period total $18,692,796. The Fund commenced
operations on April 18, 1994.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets which are not operating
capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits". During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Commodity futures prices have
occasionally moved to the daily limit for several consecutive days with little
or no trading. Similar occurrences could prevent the Fund from promptly
liquidating unfavorable positions and subject the Fund to substantial losses
which could exceed the margin initially committed to such trades. In addition,
even if commodity futures prices have not moved the daily limit, the Fund may
not be able to execute futures trades at favorable prices, if little trading in
such contracts is taking place. Other than these limitations on liquidity,
which are inherent in the Fund's commodity futures trading operations, the
Fund's assets are expected to be highly liquid.
16
<PAGE> 17
Results of Operations
The return for the six months ending June 30, 1997 and 1996 was (.25)% and
6.35%, respectively. The (.25)% decrease was the result of an approximate 1.66%
increase due to trading gains (before commissions) and an approximate 2.59%
increase due to interest income, offset by an approximate 4.50% decrease as the
result of brokerage fees, performance fees and operating costs borne by the
Fund.
The majority of trading gains for the first quarter of 1997 came from the
foreign exchange sector, where the U.S. Dollar continued to show strength early
in the quarter. Short foreign currency positions realized profit as the U.S.
Dollar's upward trend remained intact. Another strong contributor to first
quarter profits was the energy sector. The warm weather in February gave
direction to January's volatility in energy. Short positions in natural gas
and London Gasoil proved profitable. The interest rate sector was the poorest
performer. Mid-quarter gains based on good employment and inflation numbers
quickly turned to losses after Greenspan's Congressional testimony. However,
strong economic data and a Federal Reserve rate hike combined to push bonds
lower, providing a profit on the short position and offsetting some losses. As
the equity market consolidated the Fund experienced slight losses. These
losses, though painful, are expected as we move from trend to trend.
Trading for the second quarter of 1997 proved unprofitable, giving back 4.12%
of the 5.78% in trading profits earned during the first quarter. The powerful
trends in currencies, interest rates, and energy, that had given us such strong
performance during the last quarter of 1996, came to their conclusion and went
through the normal, cyclical period of volatility and a consolidation phase in
April and May. The energy sector reversed course and we gave back much of the
profits made earlier in the year on our short positions. Returns from stock
indices were strong in the second quarter, as the result of U.S. and
international indices which rallied in response to lower interest rates and the
Federal Reserve's failure to raise rates at its May meeting.
The Fund is unaware of any (i) anticipated known demands, commitments or
capital expenditures; (ii) material trends, favorable or unfavorable, in its
capital resources; or (iii) trends or uncertainties that will have a material
effect on operations. From time to time, certain regulatory agencies have
proposed increased margin requirements on commodity futures contracts. Because
the Fund generally uses a small percentage of assets for margin, the Fund does
not believe that any increase in margin requirements, if adopted as proposed,
will have a material effect on the Fund's operations. Management cannot
predict whether the Fund's Net Asset Value per Unit will increase or decrease.
Inflation is not a significant factor in the Fund's operations, except to the
extent that inflation may affect futures' prices.
Off-Balance Sheet Risk
17
<PAGE> 18
The Fund trades in futures and forward contracts and is therefore a party to
financial instruments with elements of off-balance sheet market and credit
risk. In entering into these contracts there exists a risk to the Fund (market
risk) that such contracts may be significantly influenced by market conditions,
such as interest rate volatility, resulting in such contracts being less
valuable. If the markets should move against all of the futures interests
positions of the Fund at the same time, and if the Fund's trading advisor was
unable to offset futures interests positions of the Fund, the Fund could lose
all of its assets and the Limited Partners would realize a 100% loss. Campbell
& Company, Inc., the General Partner (who also acts as trading advisor),
minimizes market risk through real-time monitoring of open positions,
diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%.
In addition to market risk, in entering into futures and forward contracts
there is a risk to the Fund (credit risk) that a counterparty will not be able
to meet its obligations to the Fund. The counterparty of the Fund for futures
contracts traded in the United States and most foreign exchanges on which the
Fund trades is the clearinghouse associated with such exchange. In general,
clearinghouses are backed by the membership of the exchange and will act in
the event of non-performance by one of its members or one of its members'
customers, and as such, should significantly reduce this credit risk. In cases
where the Fund trades on exchanges where the clearinghouse is not backed by the
membership (i.e. some foreign exchanges) or when the Fund enters into
off-exchange contracts (i.e. forward contracts) with a counterparty, the sole
recourse of the Fund will be the clearinghouse or the counterparty as the case
may be. Campbell & Company, Inc., in its business as a commodity trading
advisor and through its many relationships with brokers, monitors the
creditworthiness of the exchanges and the clearing members of the foreign
exchanges with which it does business for the Fund and other clients. With
respect to forward contract trading, the Fund trades with only those
counterparties which the General Partner has determined to be creditworthy.
All positions of the Fund are valued each day on a mark-to-market basis. While
the General Partner monitors the creditworthiness and risks involved in dealing
on the various exchanges and with counterparties, there can be no assurance
that an exchange or counterparty will be able to meet its obligations to the
Fund.
18
<PAGE> 19
PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Submissions of Matters to a vote of Security Holders.
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K.
None
There are no exhibits to this Form 10-Q.
19
<PAGE> 20
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
Date: August 12, 1997 By: /s/Theresa D. Livesey
---------------------------------------
Theresa D. Livesey
Chief Financial Officer/Treasurer/
Director
20
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THE SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE FINANCIAL
STATEMENTS OF CAMPBELL STRATEGIC ALLOCATION FUND, L.P. AS OF AND FOR THE SIX
MONTHS ENDED JUNE 30, 1997 AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO
SUCH FINANCIAL STATEMENT.
</LEGEND>
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> JUN-30-1997
<CASH> 51,102
<SECURITIES> 100,151
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 151,253
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 151,253
<CURRENT-LIABILITIES> 2,030
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 149,223
<TOTAL-LIABILITY-AND-EQUITY> 151,253
<SALES> 0
<TOTAL-REVENUES> 5,397
<CGS> 0
<TOTAL-COSTS> 6,156
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (759)
<INCOME-TAX> 0
<INCOME-CONTINUING> (759)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (759)
<EPS-PRIMARY> (7.71)
<EPS-DILUTED> (7.71)
</TABLE>
